Modern Currency Exchange Rate Behaviour and Proposed Trend-Like Forecasting Model

5th Edition Conference of Econometric Research in Finance by Warsaw School of Economics, Poland. 18th September, 2020

487 Pages Posted: 27 May 2020

See all articles by Emmanuel Tweneboah Senzu

Emmanuel Tweneboah Senzu

Njala University, School of Social Sciences & Law

Date Written: May 1, 2020

Abstract

The study examined high volatile assets, specifically the currency exchange rate of the open financial market. Takes into consideration the five most traded paired currencies of the global financial market. And observed, generally, the data set of the unit currency exchange rate exhibit homoscedastic qualities making it appropriate for the use of auto-regression integrated moving average as a reliable model forecast for future pricing of the volatile assets. However, the current model prediction addresses only the magnitude of asset price ignoring its direction, which is the paramount challenge of forecasters. Hence the paper resolves such weakness of the model by introducing a momentum model as a complementary tool to the ARIMA model to determine not only price magnitude but the vector direction of volatile asset pricing relative to the market, dependent on its lagged values.

Keywords: Forecast, Momentum-Model, Exchange Rate, Homoscedacity, ARIMA, GARCH, Hard-Currency

JEL Classification: G02, G11, G12, G15, G17

Suggested Citation

Tweneboah Senzu, Emmanuel, Modern Currency Exchange Rate Behaviour and Proposed Trend-Like Forecasting Model (May 1, 2020). 5th Edition Conference of Econometric Research in Finance by Warsaw School of Economics, Poland. 18th September, 2020, Available at SSRN: https://ssrn.com/abstract=3587550 or http://dx.doi.org/10.2139/ssrn.3587550

Emmanuel Tweneboah Senzu (Contact Author)

Njala University, School of Social Sciences & Law ( email )

Bo, Campus, Towama.
19 Henry Street, Freetown.
Freetown, FL Southern 000232
Sierra Leone
074561050 (Phone)
074561050 (Fax)

HOME PAGE: http://https://njala.edu.sl/

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
7
Abstract Views
86
PlumX Metrics